OPTIONS: Larger FX Option Pipeline
Oct-12 10:58
- EUR/USD: Oct13 $1.0450(E1.2bln), $1.0470-75(E4.5bln), $1.0515(E2.3bln), $1.0565-75(E1.8bln), $1.0625-35(E3.1bln), $1.0700-20(E1.2bln); Oct16 $1.0685-95(E1.3bln)
- USD/JPY: Oct13 Y148.95-15($1.2bln); Oct17 Y148.00($1.1bln)
- GBP/USD: Oct17 $1.2395-00(Gbp1.1bln), $1.2430-50(Gbp1.1bln)
- USD/CAD: Oct16 C$1.3550($1.0bln)
- USD/CNY: Oct13 Cny7.3500($3.1bln); Oct16 Cny7.3200($1.0bln)
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EQUITIES: Option expiry in Notional terms
Sep-12 10:45
Equity option expiry (Friday) in Notional terms:
- SPX: 1.92T vs 1.88T Yesterday.
- NDX: 84.85bn vs 83.3bn.
- Apple: 26.86bn vs 26.2bn.
- Amazon: 16.35bn vs 15.8bn
- SX5E: 204.7bn vs 202.3bn.
- SX7E: 7bn vs 7.1bn.
- SXXP: 4.0bn vs 4.0bn.
- FTSE: 27.23bn vs 27.3bn.
- LLOY: 5.9bn vs 5.9bn.
US TSY FUTURES: OI Indicates Short Setting Dominated On Monday
Sep-12 10:45
The combination of Monday’s cheapening and preliminary open interest data point to a mix of short setting and long cover in Tsy futures, although net short setting seemingly dominated.
- TY futures appeared to be the only contract that saw long cover in net terms, with signs of net short setting across the remainder of the curve.
- That left the DV01-adjusted net OI swing near the +$2.5mn mark, even though the largest DV01-adjusted OI swing came via the apparent long cover in TY futures.
| 11-Sep-23 | 08-Sep-23 | Daily OI Change | OI DV01 Equivalent Change ($) | |
| TU | 3,640,926 | 3,619,225 | +21,701 | +838,410 |
| FV | 5,380,438 | 5,361,815 | +18,623 | +796,151 |
| TY | 4,650,633 | 4,666,870 | -16,237 | -1,064,268 |
| UXY | 1,773,367 | 1,769,149 | +4,218 | +388,956 |
| US | 1,335,657 | 1,328,246 | +7,411 | +999,163 |
| WN | 1,527,809 | 1,525,544 | +2,265 | +468,790 |
| Total | +37,981 | +2,427,202 |
BOE: Breeden gives away little on her own views but could influence model changes
Sep-12 10:44
- Breeden gave little away about her individual views on monetary policy, instead sticking to the party line of what the BOE's forecasts were and saying that she agreed with the BOE's existing models on the transmission mechanism. The first half of the hearing she sounded very much like she would just vote with the other internal members without much input.
- However, where she feels she can make a difference is to help to incorporate some of the behavioural aspects into the Bank's models. And she elaborated on this by noting that there were differences between how hikes impacted different households' behaviours differently.
- Overall, she does seem to be largely in line with other internal members on the MPC and doesn't seem as though she will be a huge outlier - but it also seems as though her influence will likely grow as time goes on towards helping steer those other internal members.
- She will observe the discussions for the September MPC decision and be actively involved and then have a vote for the November decision.
